The influence of martensitic microstructure on the evolution of residual stresses during cyclic loading has been investigated using X-ray diffraction, both in martensite and in retained austenite. Different microstructures containing retained austenite fractions of 25% and 40% were obtained by vacuum carburizing applied to the 14NiCr11 steel. Additionally, other microstructures, such as quenched or tempered martensite of the 42CrMo4 steel were also studied.The results indicate that, for the same hardness and similar stabilized residual stresses in retained austenite, the greater the longitudinal residual stresses in quenched martensite, the greater the improvement in fatigue strength.From initial biaxial isotropic residual stresses, cyclic loading close to the endurance limit created anisotropic residual stress relaxation in quenched martensite and retained austenite. After cyclic loading, the longitudinal residual stresses were higher than the transverse residual stresses, regardless of the type of loading (bending in the case of 14NiCr11 carburized steel or combined bending and torsion in the case of the 42CrMo4 steel). The high level of longitudinal residual stresses after cyclic loading was correlated with the high retained austenite transformation to martensite in the case of 14NiCr11 carburized steel. The anisotropy of the stabilized residual stresses (after a few 10th of cycles) is due to the metastability of quenched martensite under cyclic loading.